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A note on the condition of no unbounded profit with bounded risk · Study

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ArticleA note on the condition of no unbounded profit with bounded risk

Koichiro Takaoka2014

Article2014

A note on the condition of no unbounded profit with bounded risk

Koichiro Takaoka · Walter Schachermayer B

75 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1998The fundamental theorem of asset pricing for unbounded stochastic processes 1981Arbitrage and equilibrium in economies with infinitely many commodities 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models 2005The Mathematics of Arbitrage

Cited by

2014On arbitrages arising with honest times 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS 2015How non-arbitrage, viability and numéraire portfolio are related 2016No arbitrage of the first kind and local martingale numéraires 2015Arbitrage of the first kind and filtration enlargements in semimartingale financial models 2015

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2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETSarticle · 11 shared references 2012The fundamental theorem of asset pricing under transaction costsarticle · 9 shared references 2002Utility-Based Derivative Pricing in Incomplete Marketschapter · 9 shared references 1994Martingales, Arbitrage, and Portfolio Choicechapter · 9 shared references 1996Actuarial bridges to dynamic hedging and option pricingarticle · 8 shared references 2012Market viability via absence of arbitrage of the first kindarticle · 8 shared references

Details

Year2014

Typearticle

Published2014-03-04

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations75

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-014-0229-8

openalex_workW2084397403

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SHADOW PRICES FOR CONTINUOUS PROCESSES

2017Optimal investment with intermediate consumption under no unbounded profit with bounded risk

2018Polynomial processes in stochastic portfolio theory